학술저널
This paper derives downside-risk minimizing hedge ratios for Korean food manufacturers who face commodity price risk and exchange rate risk simultaneously. Since there is no closed form solution, a numerical iteration approach should be used to estimate the minimum semivariance hedge (MSVH) ratios. The results show that the MSVH strategy can effectively reduce underlying price risks. The MSVH rule is evidently more cost efficient than the conventional minimum variance hedge.
ABSTRACT
Ⅰ. 서론
Ⅱ. 헤지 모형
Ⅲ. 헤지비율의 추정방법과 효과 분석
Ⅳ. 실증분석 결과
Ⅴ. 요약 및 결론
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